TAR Modeling with Missing Data when the White Noise Process Follows a Student’s t -Distribution
This paper considers the modeling of the threshold autoregressive (TAR) process, which is driven by a noise process that follows a Student’s t -dis- tribution. The analysis is done in the presence of missing data in both the threshold process f Z t g and the interest process f X t g . We develop a...
Uloženo v:
| Vydáno v: | Revista Colombiana de Estadística |
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| Hlavní autoři: | , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Universidad Nacional de Colombia
2015
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| Témata: | |
| On-line přístup: | https://www.redalyc.org/articulo.oa?id=89938627014 |
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